Numerical solution of the time fractional Black-Scholes equation using B-spline technique
نویسندگان
چکیده
Financial theory can incorporate fractional differential equation, which provides new concepts and methods for theoret- ical analysis practical implementations. In this research, a numerical method to solve time Black-Scholes European option pricing model is developed applied using extended cubic B-spline Caputo derivative. The graphical results shows that the prices from proposed technique agree well with analytical solution.
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ژورنال
عنوان ژورنال: Nucleation and Atmospheric Aerosols
سال: 2021
ISSN: ['0094-243X', '1551-7616', '1935-0465']
DOI: https://doi.org/10.1063/5.0075288